Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0643 |
| Annualized Std Dev | 0.2192 |
| Annualized Sharpe (Rf=0%) | 0.2934 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1134 |
| Quartile 1 | -0.0058 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0069 |
| Maximum | 0.1265 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0138 |
| Skewness | -0.1642 |
| Kurtosis | 7.7458 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0100 |
| Gain Deviation | 0.0096 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.6334 |
| Historical VaR (95%) | -0.0212 |
| Historical ES (95%) | -0.0331 |
| Modified VaR (95%) | -0.0208 |
| Modified ES (95%) | -0.0350 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-03-11 | -0.6334 | 1363 | 355 | 1008 |
| 2000-12-12 | 2002-10-09 | 2006-02-22 | -0.4477 | 1304 | 456 | 848 |
| 2020-02-13 | 2020-03-23 | 2020-11-10 | -0.4278 | 189 | 27 | 162 |
| 2018-01-29 | 2018-12-24 | 2019-11-04 | -0.2519 | 446 | 229 | 217 |
| 2015-02-23 | 2016-01-20 | 2016-07-13 | -0.1745 | 351 | 230 | 121 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.1 | -0.1 | 1.1 | -1.2 | 0.1 | 0.1 | -1.2 | 0.3 | -1.4 | -2.6 | 0.8 | 1.5 | -2.5 |
| 2000 | -0.7 | -0.5 | 0.2 | 2.3 | 0.8 | 0.2 | 0.8 | 0.9 | -0.7 | 0.1 | 0.9 | -0.6 | 3.5 |
| 2001 | -1.3 | -0.7 | 0.3 | 0.9 | -0.3 | -1.1 | 0.6 | 0.9 | -0.9 | 2.1 | -0.2 | -1.2 | -1 |
| 2002 | -0.8 | 2.3 | 0 | 0.3 | 0.8 | -2.2 | -2.2 | 0.1 | 4.4 | 1.3 | -0.2 | 0.9 | 4.6 |
| 2003 | 1.7 | 0.3 | 1.4 | -1.5 | 2.3 | 0.2 | -0.8 | 0 | 2 | 0.2 | 1.5 | 0.1 | 7.5 |
| 2004 | -0.2 | 0.5 | 0.6 | -0.8 | 0 | -1.5 | -0.1 | 0 | 1.4 | 0.3 | 1.7 | -0.4 | 1.6 |
| 2005 | 0.3 | 0.3 | -1 | 1.2 | 0.4 | 0.3 | -0.1 | -0.4 | 0.5 | -0.3 | 1.1 | -0.6 | 1.8 |
| 2006 | 0.9 | 0.8 | 0 | 0.3 | 1 | 0 | -0.6 | 0.7 | -0.5 | -0.5 | -0.6 | -0.7 | 0.8 |
| 2007 | 0.9 | -0.4 | -0.1 | 0.6 | 0.4 | 0.4 | 0.7 | 1.5 | 1.3 | -1.7 | 0.4 | -0.5 | 3.5 |
| 2008 | 2.3 | -2.7 | 2.3 | 0.6 | 0.6 | -0.1 | -0.1 | -1.1 | -2.4 | 3.3 | -8.2 | 2.4 | -3.5 |
| 2009 | -2.1 | -2.5 | 2.2 | 1.1 | 4.6 | 0.4 | 0.4 | -1.7 | -2.5 | -3.4 | 1.6 | -1.2 | -3.4 |
| 2010 | 1.5 | 1.3 | 0.6 | -2.4 | -2.2 | -0.3 | 0.4 | 4 | 0.1 | 0 | 2.6 | 0.1 | 5.7 |
| 2011 | 1.4 | -2.1 | 0.8 | 0.4 | -3.3 | 1.8 | -0.6 | -1.6 | -3.3 | -3 | -0.3 | -0.6 | -10.2 |
| 2012 | 1.1 | 0.3 | 0.4 | 0.3 | -2.8 | 3.5 | -0.7 | 0.6 | 0.5 | 1.8 | -0.2 | 1.8 | 6.8 |
| 2013 | 1 | -0.2 | -1.2 | -1.3 | -1 | 1 | 1.7 | -0.6 | 0.6 | 0.7 | -0.3 | 0.6 | 1.1 |
| 2014 | -0.5 | 0.2 | 0.7 | -0.2 | -0.1 | 0.6 | -0.1 | -0.1 | -1.9 | 1 | -1.3 | -1 | -2.7 |
| 2015 | -1.6 | -0.5 | -0.7 | 1.3 | 0.4 | 0.5 | -0.1 | -2.7 | -0.2 | -0.1 | 0.5 | -0.7 | -3.9 |
| 2016 | -0.2 | 2 | 0.5 | -0.6 | 0.1 | 0.3 | -0.1 | 0.1 | 0.9 | -0.9 | 0.7 | -0.4 | 2.3 |
| 2017 | -0.2 | 1.7 | -0.4 | -0.3 | 0.6 | 0.8 | -0.3 | 0.1 | 0.3 | -0.1 | -1.2 | -0.2 | 0.8 |
| 2018 | -0.2 | -2 | 1.5 | -0.5 | 1.1 | 0.2 | -1.4 | 0.1 | 0.9 | 1.8 | 1 | 1 | 3.5 |
| 2019 | 0.2 | 0.1 | 2.1 | -0.7 | -1.4 | 0.1 | -1.9 | 0.4 | -2.4 | 2.2 | -0.5 | -0.1 | -2 |
| 2020 | -2.3 | -1.8 | -4.5 | -3 | 0.2 | -0.5 | -0.4 | 1 | -0.3 | -0.1 | -0.2 | 0.5 | -11 |
| 2021 | 1 | 2.6 | -0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
